Post-GFC Monetary Policy | Forecast of time-varying effects of post-GFC monetary policy + a novel computing application

Summary
Central banks worldwide routinely use models in assessing and forecasting the global and domestic economic outlook in order to determine the most suitable monetary policies. Economies evolve over time and policies that worked in the 1980s might not be viable at the present time, thus models must be flexible to account for these changes. Undoubtedly, it is difficult to identify the exact point in time when a change in macroeconomic behaviour occurs, particularly a change that will trigger a reactive monetary policy to neutralise its negative effects. The current project proposes a new methodology, which due to its local nature can react faster to changes in the process than other existing methodologies. This project aims at breaking new ground in several respects. First, by proposing for the first time a nonparametric local linear estimator of multivariate processes with possible smooth or abrupt changes in the parameters. Second, by developing a user-friendly computational package with the aforementioned functionality. Finally, by investigating the effect for G7 and Eurozone economies of the monetary policies driven by the global financial crisis.
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More information & hyperlinks
Web resources: https://cordis.europa.eu/project/id/657182
Start date: 20-01-2016
End date: 19-01-2018
Total budget - Public funding: 158 121,60 Euro - 158 121,00 Euro
Cordis data

Original description

Central banks worldwide routinely use models in assessing and forecasting the global and domestic economic outlook in order to determine the most suitable monetary policies. Economies evolve over time and policies that worked in the 1980s might not be viable at the present time, thus models must be flexible to account for these changes. Undoubtedly, it is difficult to identify the exact point in time when a change in macroeconomic behaviour occurs, particularly a change that will trigger a reactive monetary policy to neutralise its negative effects. The current project proposes a new methodology, which due to its local nature can react faster to changes in the process than other existing methodologies. This project aims at breaking new ground in several respects. First, by proposing for the first time a nonparametric local linear estimator of multivariate processes with possible smooth or abrupt changes in the parameters. Second, by developing a user-friendly computational package with the aforementioned functionality. Finally, by investigating the effect for G7 and Eurozone economies of the monetary policies driven by the global financial crisis.

Status

CLOSED

Call topic

MSCA-IF-2014-EF

Update Date

28-04-2024
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Horizon 2020
H2020-EU.1. EXCELLENT SCIENCE
H2020-EU.1.3. EXCELLENT SCIENCE - Marie Skłodowska-Curie Actions (MSCA)
H2020-EU.1.3.2. Nurturing excellence by means of cross-border and cross-sector mobility
H2020-MSCA-IF-2014
MSCA-IF-2014-EF Marie Skłodowska-Curie Individual Fellowships (IF-EF)